Central limit theorem for a Stratonovich integral with Malliavin calculus
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Abstract: The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical conditions. As a consequence we derive a change-of-variable formula in law with a second order correction term which is an It^{o} integral of f(W) with respect to a Gaussian martingale independent of W. The proof of the convergence in law is based on the techniques of Malliavin calculus and uses a central limit theorem for q-fold Skorohod integrals, which is a multi-dimensional extension of a result proved by Nourdin and Nualart [J. Theoret. Probab. 23 (2010) 39-64]. The results proved in this paper are generalizations of previous work by Swanson [Ann. Probab. 35 (2007) 2122-2159] and Nourdin and R'{e}veillac [Ann. Probab. 37 (2009) 2200-2230], who found a similar formula for two particular types of bifractional Brownian motion. We provide three examples of Gaussian processes W that meet the necessary covariance bounds. The first one is the bifractional Brownian motion with parameters , HK=1/4. The others are Gaussian processes recently studied by Swanson [Probab. Theory Related Fields 138 (2007) 269-304], [Ann. Probab. 35 (2007) 2122-2159] in connection with the fluctuation of empirical quantiles of independent Brownian motion. In the first example the Gaussian martingale is a Brownian motion, and expressions are given for the other examples.
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Cites work
- scientific article; zbMATH DE number 2096694 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A change of variable formula with Itô correction term
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Cited in
(12)- Stable limit theorems on the Poisson space
- Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions
- Quantitative stable limit theorems on the Wiener space
- Weak symmetric integrals with respect to the fractional Brownian motion
- Central limit theorems for multiple Skorokhod integrals
- Asymptotic expansion of Skorohod integrals
- Central limit theorem for functionals of a generalized self-similar Gaussian process
- On Simpson's rule and fractional Brownian motion with \(H = 1/10\)
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
- Discrete rough paths and limit theorems
- Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
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